You really need to get the contrast down and pick a light source first. In your piece, the left leg has the light source to the left, the right leg has it to the right, the helmet is lit from the top, the torso from the bottom, the left arm from the right and the shoulder pads from the left and front.
The guy on the bottom right seems a bit more consistent in his shading and posture. The one on the left is leaning back though.
You have received a lot of edits, try looking at them sometime
As for palette, try to stay away from completely straight ramps, full saturation, etc. Also, try getting away from the primary colors. You use pure blues, reds and greens mostly. There's 255 different hues to pick from in most pixel art programs, you use only a range of 2 or 3.
And finally to answer your question: both helmets make some sense, it all depends on where your light source is...